Since you said you have a cable connection then you will need to click the button LAN Settings, because you are conected to a LAN. As directed above. Since the instructions they provide assume you have dialup.

I had simular problems when I installed proxomitron www.proxomitron.cjb.net

Once you have downloaded and installed their software, it must be running in order for it to use the proxy. localhost points to your computer. And the port number tells it where to conect. But if the program (steather) or in my case proxomitron is not currently running, then it is not listening to that port, and is not acepting conections from your browser.

Once you installed the software, and followed instructions, you need to run the program, otherwise your browser wont have anything to conect to.

When I installed proxomitron and set up the proxy settings, I was baffled that now I could not go to any web site. The reason why is because yes proxomitron was installed but it was not running, so I had to modify my registry to tell it to start with my computer.